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FINRA-Interactive Data Structured Trading Activity Reports

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 15Y

JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price * 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price * 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES * 0 0 0 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 97.0 99.2 101.0 102.5 0.0 0.0 102.5
Weighted Avg. Price 97.0 99.2 101.0 102.5 0.0 0.0 102.5
Avg. Price Bottom 5 Trades 96.7 99.1 101.0 102.5 0.0 0.0 102.5
2nd Quartile Price 97.0 99.1 101.0 102.5 0.0 0.0 *
3rd Quartile Price 97.0 99.2 101.0 102.5 0.0 0.0 *
4th Quartile Price 97.0 99.2 101.0 102.5 0.0 0.0 *
Avg. Price Top 5 Trades 97.0 99.2 101.1 102.5 0.0 0.0 102.5
Standard Deviation 0.2 0.0 0.0 0.0 0.0 0.0 0.1
     VOLUME OF TRADES (000'S) 2,144,852.4 5,574,164.5 3,955,252.7 287,072.0 0.0 0.0 8,000.0
     NUMBER OF TRADES 258 532 368 67 0 0 6
FHLMC
AVERAGE PRICE 96.9 99.1 101.0 * 0.0 0.0 0.0
Weighted Avg. Price 96.9 99.1 101.0 * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 96.9 99.0 101.0 * 0.0 0.0 0.0
2nd Quartile Price 96.8 99.0 101.0 * 0.0 0.0 0.0
3rd Quartile Price 96.9 99.1 101.0 * 0.0 0.0 0.0
4th Quartile Price 96.9 99.1 101.0 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.9 99.1 101.0 * 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 107,160.0 124,116.0 51,457.0 * 0.0 0.0 0.0
     NUMBER OF TRADES 13 17 8 * 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 96.9 99.0 100.9 102.4 0.0 0.0 0.0
Weighted Avg. Price 96.9 99.0 100.9 102.4 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 96.9 99.0 100.9 102.4 0.0 0.0 0.0
2nd Quartile Price 96.8 99.0 100.9 * 0.0 0.0 0.0
3rd Quartile Price 96.9 99.0 100.9 * 0.0 0.0 0.0
4th Quartile Price 96.9 99.1 100.9 * 0.0 0.0 0.0
Avg. Price Top 5 Trades 96.9 99.1 101.0 102.4 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 735,000.0 2,500,800.0 1,750,500.0 26,746.0 0.0 0.0 0.0
     NUMBER OF TRADES 22 58 48 5 0 0 0
FHLMC
AVERAGE PRICE * 0.0 * * 0.0 0.0 0.0
Weighted Avg. Price * 0.0 * * 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 0.0 * * 0.0 0.0 0.0
2nd Quartile Price * 0.0 * * 0.0 0.0 0.0
3rd Quartile Price * 0.0 * * 0.0 0.0 0.0
4th Quartile Price * 0.0 * * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 0.0 * * 0.0 0.0 0.0
Standard Deviation * 0.0 * * 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 0.0 * * 0.0 0.0 0.0
     NUMBER OF TRADES * 0 * * 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 98.9 100.8 102.2 0.0 0.0 0.0
Weighted Avg. Price * 99.0 100.8 102.2 0.0 0.0 0.0
Avg. Price Bottom 5 Trades * 98.9 100.8 102.2 0.0 0.0 0.0
2nd Quartile Price * 98.9 100.8 * 0.0 0.0 0.0
3rd Quartile Price * 98.9 100.8 * 0.0 0.0 0.0
4th Quartile Price * 99.0 100.8 * 0.0 0.0 0.0
Avg. Price Top 5 Trades * 99.0 100.8 102.2 0.0 0.0 0.0
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) * 909,400.0 355,500.0 8,500.0 0.0 0.0 0.0
     NUMBER OF TRADES * 23 22 5 0 0 0
FHLMC
AVERAGE PRICE 0.0 0.0 * 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 * 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 * 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 * 0 0 0 0
GNMA
AVERAGE PRICE 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Weighted Avg. Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
2nd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
3rd Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
4th Quartile Price 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 0.0 0.0 0.0 0.0
     NUMBER OF TRADES 0 0 0 0 0 0 0

Pricing Table: Agency Pass-Thru (TBA, STIP, $ ROLLS) - Single Family 30Y

JUNE Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 0.0 * * 0.0 * 0.0
Weighted Avg. Price 0.0 0.0 * * 0.0 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 * * 0.0 * 0.0
2nd Quartile Price 0.0 0.0 * * 0.0 * 0.0
3rd Quartile Price 0.0 0.0 * * 0.0 * 0.0
4th Quartile Price 0.0 0.0 * * 0.0 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 * * 0.0 * 0.0
Standard Deviation 0.0 0.0 * * 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 * * 0.0 * 0.0
     NUMBER OF TRADES 0 0 * * 0 * 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 102.0 104.4 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 102.0 104.3 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 102.0 104.2 * 0.0
2nd Quartile Price 0.0 0.0 0.0 * 104.4 * 0.0
3rd Quartile Price 0.0 0.0 0.0 * 104.5 * 0.0
4th Quartile Price 0.0 0.0 0.0 * 104.5 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 102.0 104.5 * 0.0
Standard Deviation 0.0 0.0 0.0 0.1 0.2 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 42,093.1 37,814.9 * 0.0
     NUMBER OF TRADES 0 0 0 5 9 * 0
GNMA
AVERAGE PRICE 0.0 * * * 104.5 105.1 *
Weighted Avg. Price 0.0 * * * 104.6 105.0 *
Avg. Price Bottom 5 Trades 0.0 * * * 104.1 105.1 *
2nd Quartile Price 0.0 * * * 104.1 * *
3rd Quartile Price 0.0 * * * 104.3 * *
4th Quartile Price 0.0 * * * 105.0 * *
Avg. Price Top 5 Trades 0.0 * * * 105.2 105.1 *
Standard Deviation 0.0 * * * 0.5 0.0 *
     VOLUME OF TRADES (000'S) 0.0 * * * 93,632.5 57,500.0 *
     NUMBER OF TRADES 0 * * * 16 6 *
JULY Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE * 96.6 99.3 101.8 104.0 105.7 108.5
Weighted Avg. Price * 96.6 99.3 101.8 104.0 105.7 107.4
Avg. Price Bottom 5 Trades * 96.5 99.2 101.7 104.0 105.7 108.5
2nd Quartile Price * 96.6 99.3 101.8 104.0 105.7 *
3rd Quartile Price * 96.6 99.3 101.8 104.0 105.7 *
4th Quartile Price * 96.6 99.3 101.8 104.0 105.7 *
Avg. Price Top 5 Trades * 96.6 99.4 101.9 104.1 105.8 108.5
Standard Deviation * 0.0 0.0 0.0 0.0 0.0 1.0
     VOLUME OF TRADES (000'S) * 3,350,293.6 16,943,156.4 32,150,092.4 9,407,409.0 1,776,853.9 107,336.0
     NUMBER OF TRADES * 139 639 1,249 547 127 7
FHLMC
AVERAGE PRICE 0.0 96.5 99.3 101.8 104.0 * *
Weighted Avg. Price 0.0 96.5 99.3 101.8 104.0 * *
Avg. Price Bottom 5 Trades 0.0 96.5 99.2 101.7 103.9 * *
2nd Quartile Price 0.0 96.5 99.3 101.8 104.0 * *
3rd Quartile Price 0.0 96.5 99.3 101.8 104.0 * *
4th Quartile Price 0.0 96.6 99.3 101.8 104.0 * *
Avg. Price Top 5 Trades 0.0 96.5 99.3 101.8 104.0 * *
Standard Deviation 0.0 0.0 0.0 0.1 0.0 * *
     VOLUME OF TRADES (000'S) 0.0 61,469.8 303,541.2 2,466,947.0 2,862,449.7 * *
     NUMBER OF TRADES 0 15 31 75 72 * *
GNMA
AVERAGE PRICE 0.0 97.6 100.2 102.4 103.9 105.0 *
Weighted Avg. Price 0.0 97.6 100.2 102.4 103.9 105.0 *
Avg. Price Bottom 5 Trades 0.0 97.5 100.2 102.3 103.8 104.9 *
2nd Quartile Price 0.0 97.6 100.2 102.4 103.9 104.9 *
3rd Quartile Price 0.0 97.6 100.2 102.4 103.9 105.0 *
4th Quartile Price 0.0 97.6 100.2 102.4 103.9 105.0 *
Avg. Price Top 5 Trades 0.0 97.6 100.3 102.6 104.7 105.2 *
Standard Deviation 0.0 0.0 0.1 0.1 0.2 0.1 *
     VOLUME OF TRADES (000'S) 0.0 975,140.1 2,771,374.1 6,242,633.8 2,005,582.7 340,738.4 *
     NUMBER OF TRADES 0 41 99 262 176 54 *
AUGUST Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 96.5 99.2 101.6 103.8 105.5 *
Weighted Avg. Price 0.0 96.5 99.2 101.7 103.8 105.5 *
Avg. Price Bottom 5 Trades 0.0 96.5 99.1 101.6 103.8 105.5 *
2nd Quartile Price 0.0 96.5 99.1 101.6 103.8 105.5 *
3rd Quartile Price 0.0 96.5 99.2 101.7 103.8 105.5 *
4th Quartile Price 0.0 96.5 99.2 101.7 103.8 105.5 *
Avg. Price Top 5 Trades 0.0 96.5 99.2 101.7 103.9 105.6 *
Standard Deviation 0.0 0.0 0.0 0.0 0.0 0.0 *
     VOLUME OF TRADES (000'S) 0.0 1,472,155.0 4,290,468.0 9,630,550.4 4,705,479.2 969,350.0 *
     NUMBER OF TRADES 0 17 46 217 137 42 *
FHLMC
AVERAGE PRICE 0.0 * * 101.7 103.8 0.0 0.0
Weighted Avg. Price 0.0 * * 101.7 103.8 0.0 0.0
Avg. Price Bottom 5 Trades 0.0 * * 101.6 103.8 0.0 0.0
2nd Quartile Price 0.0 * * 101.7 103.8 0.0 0.0
3rd Quartile Price 0.0 * * 101.7 103.8 0.0 0.0
4th Quartile Price 0.0 * * 101.7 103.8 0.0 0.0
Avg. Price Top 5 Trades 0.0 * * 101.7 103.8 0.0 0.0
Standard Deviation 0.0 * * 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * * 1,022,361.5 787,500.0 0.0 0.0
     NUMBER OF TRADES 0 * * 14 10 0 0
GNMA
AVERAGE PRICE 0.0 * 100.2 102.2 103.7 104.8 0.0
Weighted Avg. Price 0.0 * 100.1 102.2 103.7 104.9 0.0
Avg. Price Bottom 5 Trades 0.0 * 100.0 102.1 103.6 104.7 0.0
2nd Quartile Price 0.0 * 100.1 102.2 103.7 104.8 0.0
3rd Quartile Price 0.0 * 100.1 102.2 103.7 104.8 0.0
4th Quartile Price 0.0 * 100.1 102.2 103.7 104.8 0.0
Avg. Price Top 5 Trades 0.0 * 100.5 102.3 103.8 104.9 0.0
Standard Deviation 0.0 * 0.5 0.0 0.0 0.1 0.0
     VOLUME OF TRADES (000'S) 0.0 * 1,211,500.0 1,756,275.0 906,597.0 133,600.0 0.0
     NUMBER OF TRADES 0 * 22 103 113 15 0
SEPTEMBER Settlement
METRIC COUPON
<= 2.5 3.0 3.5 4.0 4.5 5.0 > 5.0
FNMA
AVERAGE PRICE 0.0 * 99.0 101.5 103.7 105.4 0.0
Weighted Avg. Price 0.0 * 99.1 101.5 103.7 105.4 0.0
Avg. Price Bottom 5 Trades 0.0 * 99.0 101.4 103.6 105.4 0.0
2nd Quartile Price 0.0 * 99.0 101.5 103.6 * 0.0
3rd Quartile Price 0.0 * 99.1 101.5 103.7 * 0.0
4th Quartile Price 0.0 * 99.1 101.5 103.7 * 0.0
Avg. Price Top 5 Trades 0.0 * 99.1 101.6 103.7 105.4 0.0
Standard Deviation 0.0 * 0.1 0.0 0.0 0.0 0.0
     VOLUME OF TRADES (000'S) 0.0 * 184,000.0 1,399,600.0 1,811,189.7 8,900.0 0.0
     NUMBER OF TRADES 0 * 17 183 89 5 0
FHLMC
AVERAGE PRICE 0.0 0.0 0.0 101.5 103.6 * 0.0
Weighted Avg. Price 0.0 0.0 0.0 101.5 103.6 * 0.0
Avg. Price Bottom 5 Trades 0.0 0.0 0.0 101.5 103.6 * 0.0
2nd Quartile Price 0.0 0.0 0.0 101.5 103.6 * 0.0
3rd Quartile Price 0.0 0.0 0.0 101.5 103.6 * 0.0
4th Quartile Price 0.0 0.0 0.0 101.5 103.7 * 0.0
Avg. Price Top 5 Trades 0.0 0.0 0.0 101.5 103.6 * 0.0
Standard Deviation 0.0 0.0 0.0 0.0 0.0 * 0.0
     VOLUME OF TRADES (000'S) 0.0 0.0 0.0 129,500.0 258,500.0 * 0.0
     NUMBER OF TRADES 0 0 0 8 7 * 0
GNMA
AVERAGE PRICE 0.0 0.0 99.9 102.0 103.5 104.6 *
Weighted Avg. Price 0.0 0.0 100.0 102.1 103.5 104.6 *
Avg. Price Bottom 5 Trades 0.0 0.0 99.9 102.0 103.5 104.6 *
2nd Quartile Price 0.0 0.0 99.9 102.0 103.5 104.6 *
3rd Quartile Price 0.0 0.0 100.0 102.1 103.5 104.6 *
4th Quartile Price 0.0 0.0 100.0 102.1 103.6 104.7 *
Avg. Price Top 5 Trades 0.0 0.0 100.0 102.1 103.6 104.7 *
Standard Deviation 0.0 0.0 0.0 0.0 0.1 0.0 *
     VOLUME OF TRADES (000'S) 0.0 0.0 40,100.0 293,000.0 300,885.0 12,100.0 *
     NUMBER OF TRADES 0 0 14 71 72 8 *
* Indicates trade count is less than 5

The pricing tables for Agency TBA and Agency Specified Pass-thrus do not contain certain transaction volume related items after December 14th, 2011.

Data updated with current day's trades at approximately 8PM New York time

Effective June 1st, 2015 ABS Listor Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.

Should you have any questions, please call TRACE Data Services at 888-507-3665 or email tracedataservices@finra.org.